Add full real-time position update support B)
There was one trick which was that it seems that binance will often send the account/position update event over the user stream *before* the actual clearing (aka FILLED) order update event, so make sure we put an entry in the `dialogs: OrderDialogs` as soon as an order request comes in such that even if the account update arrives first the `BrokerdPosition` msg can be relayed without delay / order event order considerations.basic_buy_bot
Tyler Goodlet
parent
4eeb232248
commit
572badb4d8
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@ -174,21 +174,23 @@ async def handle_order_requests(
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# TODO: figure out what special params we have to send?
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# https://binance-docs.github.io/apidocs/futures/en/#modify-order-trade
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# lookup the binance-native symbol
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# bs_mktid: str = client._pairs[order.symbol.upper()].symbol
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# track latest request state such that map
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# lookups start at the most recent msg and then
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# scan reverse-chronologically.
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dialogs.add_msg(oid, msg)
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# XXX: ACK the request **immediately** before sending
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# the api side request to ensure the ems maps the oid ->
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# reqid correctly!
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resp = BrokerdOrderAck(
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oid=oid, # ems order request id
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reqid=oid, # our custom int mapping
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account='binance', # piker account
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)
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await ems_order_stream.send(resp)
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# call our client api to submit the order
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try:
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# XXX: ACK the request **immediately** before sending
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# the api side request to ensure the ems maps the oid ->
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# reqid correctly!
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resp = BrokerdOrderAck(
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oid=oid, # ems order request id
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reqid=oid, # our custom int mapping
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account='binance', # piker account
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)
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await ems_order_stream.send(resp)
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reqid = await client.submit_limit(
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symbol=order.symbol,
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side=order.action,
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@ -201,11 +203,6 @@ async def handle_order_requests(
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# assert reqid == order.oid
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dids[order.oid] = reqid
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# track latest request state such that map
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# lookups start at the most recent msg and then
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# scan reverse-chronologically.
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dialogs.add_msg(oid, msg)
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except BrokerError as be:
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await ems_order_stream.send(
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BrokerdError(
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@ -347,9 +344,9 @@ async def open_trade_dialog(
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bs_mktid: str = entry['symbol']
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entry_size: float = float(entry['positionAmt'])
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pair: Pair | None
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pair: Pair | None = client._venue2pairs[venue].get(bs_mktid)
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if (
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pair := client._venue2pairs[venue].get(bs_mktid)
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pair
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and entry_size > 0
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):
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entry_price: float = float(entry['entryPrice'])
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@ -406,6 +403,8 @@ async def open_trade_dialog(
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)
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tn.start_soon(
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handle_order_updates,
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venue,
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client,
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ems_stream,
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wss,
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dialogs,
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@ -416,21 +415,12 @@ async def open_trade_dialog(
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async def handle_order_updates(
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venue: str,
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client: Client,
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ems_stream: tractor.MsgStream,
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wss: NoBsWs,
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dialogs: OrderDialogs,
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# apiflows: dict[int, ChainMap[dict[str, dict]]],
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# ids: bidict[str, int],
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# reqids2txids: bidict[int, str],
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# table: PpTable,
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# ledger_trans: dict[str, Transaction],
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# acctid: str,
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# acc_name: str,
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# token: str,
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) -> None:
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'''
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Main msg handling loop for all things order management.
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@ -443,9 +433,6 @@ async def handle_order_updates(
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log.info(f'Rx USERSTREAM msg:\n{pformat(msg)}')
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match msg:
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# TODO:
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# POSITION update
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# ORDER update
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# spot: https://binance-docs.github.io/apidocs/spot/en/#payload-balance-update
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# futes: https://binance-docs.github.io/apidocs/futures/en/#event-order-update
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@ -488,7 +475,6 @@ async def handle_order_updates(
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'e': 'ORDER_TRADE_UPDATE',
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'T': int(epoch_ms),
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'o': {
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'i': reqid,
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's': bs_mktid,
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# XXX NOTE XXX see special ids for market
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@ -499,6 +485,7 @@ async def handle_order_updates(
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# // "settlement_autoclose-": settlement order
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# for delisting or delivery
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'c': oid,
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# 'i': reqid, # binance internal int id
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# prices
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'a': submit_price,
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@ -579,6 +566,8 @@ async def handle_order_updates(
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status = 'canceled'
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del dialogs._dialogs[oid]
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# case 'TRADE':
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case _:
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status = status.lower()
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@ -599,6 +588,52 @@ async def handle_order_updates(
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)
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await ems_stream.send(resp)
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# ACCOUNT and POSITION update B)
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# {
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# 'E': 1687036749218,
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# 'e': 'ACCOUNT_UPDATE'
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# 'T': 1687036749215,
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# 'a': {'B': [{'a': 'USDT',
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# 'bc': '0',
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# 'cw': '1267.48920735',
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# 'wb': '1410.90245576'}],
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# 'P': [{'cr': '-3292.10973007',
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# 'ep': '26349.90000',
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# 'iw': '143.41324841',
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# 'ma': 'USDT',
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# 'mt': 'isolated',
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# 'pa': '0.038',
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# 'ps': 'BOTH',
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# 's': 'BTCUSDT',
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# 'up': '5.17555453'}],
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# 'm': 'ORDER'},
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# }
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case {
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'T': int(epoch_ms),
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'e': 'ACCOUNT_UPDATE',
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'a': {
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'P': [{
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's': bs_mktid,
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'pa': pos_amount,
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'ep': entry_price,
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}],
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},
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}:
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# real-time relay position updates back to EMS
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pair: Pair | None = client._venue2pairs[venue].get(bs_mktid)
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ppmsg = BrokerdPosition(
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broker='binance',
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account='binance.usdtm',
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# TODO: maybe we should be passing back
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# a `MktPair` here?
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symbol=pair.bs_fqme.lower() + '.binance',
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size=float(pos_amount),
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avg_price=float(entry_price),
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)
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await ems_stream.send(ppmsg)
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case _:
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log.warning(
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'Unhandled event:\n'
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